The first week that I owned my 87TD, I noticed while on the freeway that one of my corner lights had fallen out and was hanging by the wire. I was able to get off the freeway before losing it entirely. The clip was broken at some previous point, but I was unaware since I had just bought the car.

I taped it in with strong duct tape (from the engine side), but that failed soon after. It is a bit of a bodge, but I also taped the wires to the bulb holder/base, which saved my corner light from destruction when it dislodged once. I bet you are right about the air pressure in the engine compartment pushing them out if their clips are broken.

As an aside, very recently I was fixing a headlight and had the corner light out. I was surprised how difficult it was to get everything lined up correctly for the anchoring clip to correctly engage. Perhaps some of the problem is just getting them installed correctly.

Anyway, I suspect your experiences are pretty common. Sorry for the hassle.

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1968 220D, w115, /8, OM615, Automatic transmission.
My 1987 300TD wagon was sold and my 2003 W210 E320 wagon was totaled (sheds tear).